She was lost. More specifically, she was lost in Lost Cave, which is to the east of Resort Gorgeous. The cave has many caverns consisting of small rooms with a number of rocks in them, and four doors per cave. To find Selphy, count the number of rocks per room, and then move in the direction indicated by that number on the clock. For example, three rocks means to take the door to the right, because when the clock hands point to three, they're pointing directly right.
Also in Lost Cave are many wild Gastly and Haunter, as well as either Murkrow or Misdreavus, depending on your version. If you deliberately get yourself lost and follow the wrong directions, you can find items in the rooms. I believe that they're the two Incenses needed to breed for Wynaut and Azurill.